PT - JOURNAL ARTICLE AU - Jian Hu AU - Richard Cantor TI - Defaults and Losses Given Default of Structured Finance Securities AID - 10.3905/jfi.2004.391024 DP - 2004 Mar 31 TA - The Journal of Fixed Income PG - 5--24 VI - 13 IP - 4 4099 - https://pm-research.com/content/13/4/5.short 4100 - https://pm-research.com/content/13/4/5.full AB - There is little research on default and recovery rates of structured finance securities, despite the growth of the market and how important their performance is in bank regulation and risk management as well as in valuation of market transactions. In 2003, the total issuance of asset-backed securities (ABS) including collateralized debt obligations (CDOs) and private-label mortgage-backed securities (MBS) topped $1,106 billion, greatly exceeding corporate bond issuance at $813 billion. This examination of 13,419 ABS, RMBS, and CMBS rated by Moody's during 1993–2002 finds much lower overall default rates and losses, given default, than for corporate securities.